Sequential Monte Carlo Methods for Estimating Dynamic Microeconomic Models

• Published in: Journal of applied econometrics (Chichester, England) Vol. 31; no. 5; pp. 773 - 804
• Main Author: Blevins, Jason R.
• Format: Journal Article
• Language: English
• Published: Chichester Blackwell Publishing Ltd 01.08.2016; Wiley (Variant); Wiley-Blackwell; Wiley Periodicals Inc
• Subjects: Economic models; Microeconomics; Monte Carlo simulation

This paper develops estimators for dynamic microeconomic models with serially correlated unobserved state variables using sequential Monte Carlo methods to estimate the parameters and the distribution of the unobservables. If persistent unobservables are ignored, the estimates can be subject to a dy...